Reuters Dataset 1 Metamodel Long-Short BackTest

Meta-model Analysis - Model Stacking

Meta-model analysis was carried out to see if the different models predict better on the differeent feature spaces of the test data set. Model outputs were trained as inputs into gradient boosting models (Catboost, LGBM and ExtraTreesClassifiers).

The CatBoost meta-model accuracy (56%) improved on the best accuarcy score (55%) and went on to outperform the SentiMetre Model 2 ranked by return.

Accuracy tr_pred 0.547798066595059
Accuracy catboost_pred 0.5596133190118152
Accuracy lgbm_pred 0.5528105979233798
Accuracy xtrees_pred 0.573218761188686